Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/41383
Authors: 
Jank, Stephan
Wedow, Michael
Year of Publication: 
2010
Series/Report no.: 
CFR working paper 10-16
Abstract: 
This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: in liquid times, money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in less liquid assets, however, widens the narrow structure of money market funds and makes them vulnerable to runs. During the shortening of liquidity caused by the subprime crisis, illiquid funds experienced runs, while more liquid funds functioned as a safe haven.
Subjects: 
Money Market Funds
Liquidity Crisis
Strategic Complementarities
Runs
Narrow Banking
JEL: 
G12
G20
G21
Document Type: 
Working Paper

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